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András Bohák

András Bohák

Executive Director, Risk Management and Liquidity Core Research

Andras Bohak is an Executive Director and Head of Risk Management and Liquidity Core Research, based in Budapest. He is responsible for liquidity and counterparty credit risk research as well as derivative-related regulation. Mr. Bohak led development of MSCI’s multi-asset class liquidity framework from inception. Mr. Bohak joined MSCI in 2012 and worked in the securitized products research team before transferring to the risk and regulation research team in 2013. Prior to joining MSCI, Mr. Bohak was a lecturer at the Budapest University of Technology and Economics, where he is still teaching Advanced Investments for finance majors. Mr. Bohak holds a degree in Computer Science and Industrial Engineering and Management, both from the Budapest University of Technology and Economics.

Research and Insights

Articles by András Bohák

    Could Investment Grade Be as Risky as High Yield?

    5 mins read Blog | Apr 16, 2021 | András Bohák , Andras Rokob

    Do high-yield and investment-grade bonds carry the same level of risk? For investors using common measures like value-at-risk models, IG- and HY-bond portfolios’ risk levels appear to have converged. But traditional models may miss important aspects of HY risk.

    Liquidity Risk Management for Funds: Part 1: Dilution Effects

    Report | Jul 24, 2020 | András Bohák

    This paper proposes best practices for fund liquidity risk management. We draw a synthesis from the progress in the field of fund liquidity risk management and address the issue through a systematic formulation of the problem and adoption of the best tools currently available.

    Bond ETFs and underlying price uncertainty

    Blog | Apr 8, 2020 | Reka Janosik , András Bohák

    In the recent market meltdown, some fixed-income ETFs traded at discounts as high as 6% to net asset values, a level not seen since 2008. Could ETF prices deviate from the value of the underlying portfolio during market stress and leave investors exposed to losses on top of the falling bond prices?

    Lessons from Woodford: Shutting the barn door after the horses have bolted

    Blog | Jun 14, 2019 | Dimitris Melas , András Bohák , Roman Kouzmenko

    The suspension of the U.K.’s Woodford Equity Income Fund highlights the value of regularly reviewing a portfolio’s factor exposures and liquidity characteristics for signs of style drift or deteriorating ability to redeem shares.

    From credit crunch to liquidity crunch: managing liquidity

    Blog | Jan 10, 2019 | András Bohák

    Volatility of credit spreads in both emerging- and developed-market debt increased significantly in 2018. Large rises in credit spread levels were followed by increased bid-ask spreads, making it expensive to reduce exposure within a short time frame.

    Analyzing Credit Alpha in an Integrated Risk and Performance Analysis

    Report | Oct 30, 2015 | András Bohák , Nicholas Sharp , Zsolt Simon

    This Product Insight focuses on fixed income attribution and illustrates how an integrated risk and performance analysis can be carried out with BarraOne, for a corporate bond portfolio invested using a credit value strategy. The effectiveness of the analysis is illustrated in an important "real world" use case, showing how investors can analyze strategies which target the credit alpha coming from exposure to spread risk.

    Technical Note - Backtesting Counterparty Credit Risk Models - October 2014

    Report | Oct 30, 2014 | András Bohák , Attila Agod

    In this Technical Note - following the Basel Committee's recommendations - we present our methodology for backtesting the Counterparty Credit Risk models in MSCI's RiskManager product. We test risk factor simulation models and our margining framework separately by comparing the realized risk factor values and the netted exposures to their forecast distributions at multiple horizons. We use the Cram'r-von Mises test to check if the forecasts were statistically correct during the observation...

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jul 30, 2014 | András Bohák , Attila Agod , Nicholas Sharp , Zsolt Simon

    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...

    Product Insight - Integrated Fixed Income Risk and Performance Analysis in BarraOne - July 2014

    Report | Jul 30, 2014 | Nicholas Sharp , Zsolt Simon , András Bohák , Attila Agod

    This paper demonstrates how BarraOne's Performance Analytics, the correlated stress test engine, and the risk forecasting model can all be integrated to support the investment decision process. Using a case study, we follow the decisions of a hypothetical bond portfolio manager before and after the September 17, 2013 FOMC meeting where the Fed decided to delay tapering their bond-buying program. We leverage the MSCI Macroeconomic Model to forecast the outcome of the decision on tapering, then...

    Technical Note - Introducing the Loan Pool Specific Factor in CreditManager - March 2014

    Report | Mar 7, 2014 | Attila Agod , András Bohák , Tamas Matrai

    In the CreditMetrics framework, the value of a pool of loans at the risk horizon is determined by the state of its driving market factors and the idiosyncratic factors of the individual loans.  However, if the loan pool consists of hundreds of loans, most of the risk from idiosyncratic factors is diversified away, leaving the horizon values driven mostly by market factors.  While this behavior is intuitive for standalone pools, it has an undesirable side effect for portfolios...

    Technical Note - Andrew Davidson Prepayment Model Tuning File Update - April 2013

    Report | Apr 17, 2013 | Miklós Vörös , András Bohák , Attila Agod

    RiskManager uses the Andrew Davidson & Company (AD&Co) VECTORS prepayment model for mortgage-backed securities; MSCI offers the AD&Co recommended model settings, and releases a Technical Note as the recommendations change.  On Thursday, December 6, 2012, MSCI updated the tuning files associated with the residential mortgage-backed security (RMBS) prepayment models in the RiskServer production environment.  This Technical Note summarizes the changes in collateral behavior...